Sustainable Europe multi-factor equity
Capture equity premia in a sustainable way¹ with well-chosen investment factors and a rigorous risk-control approach
The opportunity
After a European five-year equity bull market with high volatility, we anticipate more modest investment returns supported by an improving cyclical outlook, a more favourable structural backdrop, and possibly more reasonable valuations over the secular horizon.
In this environment, a systematic factor investing approach to sustainable stocks can help to deliver a more stable performance and offer a better risk-return ratio for investors, thereby achieve potential higher returns we believe. Factor investing, if applied with a systematic and structural approach, can help to access returns in a long-term perspective, while mitigating risk.
Strategy highlights
Capitalise on key performance factors, evidenced by quantitative research
Academic research shows the bulk of investment returns can be attributed to a small number of stock market factors. At BNP Paribas Asset Management, we have identified four complementary, uncorrelated and purified key performance factors – value, quality, momentum, low volatility– to both select what we consider the most attractive European stocks and mitigate associated risk, applying equal risk contribution for each of the four factors.
Benefit from solid risk-adjusted returns in different market conditions
In addition to a low correlation between factors to benefit from increased diversification, we keep tight controls over the sources of risk and return. This has allowed our strategy to enjoy a robust performance versus the MSCI Europe index² across changing market conditions since we launched it in July 2016.³
Integrate sustainability⁴
Maintaining a focus on sustainability, we integrate different levels of climate and sustainable objectives into the strategy at every stage of the investment process, collaborating closely with BNP Paribas Asset Management’s dedicated Sustainable Centre. Notably, we exclude the bottom 10% of worst ESG-rated stocks in accordance with BNP Paribas Asset Management’s responsible business conduct policies. As a result, the strategy exhibits a better ESG⁵ score and smaller carbon footprint compared to its benchmark, the MSCI Europe index⁶.
Team and expertise
A global leader in factor investing strategies, BNP Paribas Asset Management’s sustainable Europe multi-factor equity strategy is actively managed by senior quant equity portfolio manager Jean-Baptiste Simoen, a seasoned quantitative equity expert with nearly two decades of industry experience.⁷ He is supported in his activities by a dedicated team of six portfolio managers and the quant portfolio team manager, Olivier Laplénie, with altogether an average of 18 years’ industry experience.⁸ Based out of Paris, Jean-Baptiste serves as a key member of our wider factor investing capability, encompassing more than 40 experts with a solid academic foundation, numerous publications, and the support of 150+ investment professionals.⁹
Capitalising on the expertise of a large global organisation, Jean-Baptiste and the team benefit from access to our Quantitative Research Group, dedicated Sustainability Centre, and Macro Research team, as well as global technology research resources, trading and risk management platform.
Investment Risks
Investments are subject to market fluctuations and other risks inherent to investing in securities.
The value of investments and the income they generate may rise or fall and it is possible that investors may not recover their initial investment.
The strategy may be exposed to specific risks, including Equity Risk, Risk of Capital Loss, Market Volatility, Model Risk, Liquidity Risk, Operational & Custody Risk, and Environmental, Social and Governance (ESG) Investment Risk.
For a complete description and definition of the strategy’s generic and specific risks, please refer to the Prospectus and KID.
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[1,4,5] ESG: Environmental, Social, and Governance. ESG assessments are based on BNP Paribas Asset Management’s proprietary methodology, which integrates all three aspects of E, S and G.
[2,6] The MSCI Europe (NR)1 index is used as a comparative index for this strategy. The strategy does not aim to replicate either the composition or the performance of the comparative index as the strategy characteristics may deviate to varying degrees from those of the index.
[3] Past performance is not indicative of future performance. BNP Paribas Asset Management, as of 31 December 2025. Prior to BNP Paribas Europe Multi Factor Equity, the strategy was initially implemented in BNP Paribas L1 Equity Europe DEFI on 13 July 2016. BNP Paribas Europe Multi-Factor Equity absorbed BNPP L1 Equity Europe DEFI on 13 September 2019. For the period July 2016 to September 2019: Following a corporate action on 13/09/2019, the performance mentioned includes BNP Paribas L1 Equity Europe Defi.
[7,8,9] BNP Paribas Asset Management, as of 31 December 2025.
Important information
This material is issued by BNP PARIBAS ASSET MANAGEMENT Malaysia Sdn Bhd, an investment management company holding a Capital Markets Services Licence under the Capital Markets and Services Act 2007 of Malaysia, having its principal place of business at Vista Tower, Level 48D, The Intermark 348 Jalan Tun Razak 50400 Kuala Lumpur, Malaysia. This material has not been reviewed by the Securities Commission Malaysia.
This material is produced for information purposes only and does not constitute:
- an offer to buy nor a solicitation to sell, nor shall it form the basis of or be relied upon in connection with any contract or commitment whatsoever or
- investment advice.
Opinions included in this material constitute the judgement of the investment management company at the time specified and may be subject to change without notice. The investment management company is not obliged to update or alter the information or opinions contained within this material. Investors should consult their own legal and tax advisors in respect of legal, accounting, domicile and tax advice prior to investing in the financial instrument(s) in order to make an independent determination of the suitability and consequences of an investment therein, if permitted. Please note that different types of investments, if contained within this material, involve varying degrees of risk and there can be no assurance that any specific investment may either be suitable, appropriate or profitable for an investor’s investment portfolio.
Given the economic and market risks, there can be no assurance that the financial instrument(s) will achieve its/their investment objectives. Returns may be affected by, amongst other things, investment strategies or objectives of the financial instrument(s) and material market and economic conditions, including interest rates, market terms and general market conditions. The different strategies applied to financial instruments may have a significant effect on the results presented in this material. Past performance is not a guide to future performance and the value of the investments in financial instrument(s) may go down as well as up. Investors may not get back the amount they originally invested.
Past performance or achievement is not indicative of current or future performance. Performance is calculated net of fees unless otherwise stated.
Any views expressed here are those of the author as of the date of publication, based on available information, and subject to change without notice. This material does not constitute investment advice.
Investments are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate may go down as well as up and it is possible that investors will not recover their initial outlay, the strategies described being in risk of capital loss. There is no guarantee that the performance objective will be achieved.
Investing in emerging markets, or specialised or restricted sectors is likely to be subject to a higher-than-average volatility due to a high degree of concentration, greater uncertainty because less information is available, there is less liquidity or due to greater sensitivity to changes in market conditions (social, political and economic conditions).
Environmental, social and governance (ESG) investment risk: The lack of common or harmonised definitions and labels integrating ESG and sustainability criteria at EU level may result in different approaches by managers when setting ESG objectives. This also means that it may be difficult to compare strategies integrating ESG and sustainability criteria to the extent that the selection and weightings applied to select investments may be based on metrics that may share the same name but have different underlying meanings. In evaluating a security based on the ESG and sustainability criteria, the Investment Manager may also use data sources provided by external ESG research providers. Given the evolving nature of ESG, these data sources may for the time being be incomplete, inaccurate or unavailable. Applying responsible business conduct standards in the investment process may lead to the exclusion of securities of certain issuers. Consequently, performance may at times be better or worse than the performance of relatable strategies that do not apply such standards.
This is not an exhaustive list of risks. For a complete description and definition of risks, please consult a client relationship manager or the global BNP Paribas Asset Management website: staging.bnpparibas-am.co.uk.